Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach

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dc.cclicenceCC-BY-NCen
dc.contributor.authorShakeel, Bilal
dc.contributor.authorDhesi, Gurjeet
dc.contributor.authorAusloos, Marcel
dc.date.acceptance2019-07-10
dc.date.accessioned2020-03-05T08:43:12Z
dc.date.available2020-03-05T08:43:12Z
dc.date.issued2019-07-23
dc.descriptionThe file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link. Open accessen
dc.description.abstractThis paper reports a new methodology and results on the forecast of the numerical value of the fat tail(s) in asset returns distributions using the irrational fractional Brownian motion model. Optimal model parameter values are obtained from fits to consecutive daily 2-year period returns of S&P500 index over [1950–2016], generating 33-time series estimations. Through an econometric model,the kurtosis of returns distributions is modelled as a function of these parameters. Subsequently an auto-regressive analysis on these parameters advances the modelling and forecasting of kurtosis and returns distributions, providing the accurate shape of returns distributions and measurement of Value at Risk.en
dc.exception.reasonOAen
dc.exception.ref2021codes254aen
dc.funderNo external funderen
dc.identifier.citationDhesi, G., Shakeel, B. and Ausloos, M. (2019) Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach. Annals of Operations Research, pp.1-14.en
dc.identifier.doihttps://doi.org/10.1007/s10479-019-03305-z
dc.identifier.issn0254-5330
dc.identifier.urihttps://dora.dmu.ac.uk/handle/2086/19301
dc.language.isoenen
dc.publisherSpringeren
dc.researchinstituteFinance and Banking Research Group (FiBRe)en
dc.subjectFinancial forecasting and simulationen
dc.subjectAsset pricingen
dc.subjectSimulation modellingen
dc.subjectFinancial econometricsen
dc.titleModelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approachen
dc.typeArticleen

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